Index Benchmark Solution

Quantifai Index Benchmark Solution

Quantifai Index Benchmark Solution is a fully autonomous Algorithmic Trading system. It takes advantage of low-resolution and repetitive movements in the markets. Using a unique scalping mechanism, it repeatedly takes small profits which accumulate and create excessive returns over the index. The effect is that when the market (and the index) goes up, the Quantifai Index Benchmark Solution will also go up, but a little more. When the market (and the index) goes down, the Quantifai Index Benchmark Solution will also go down, but a little less.

The most important features of the Quantifai Index Benchmark Solution are:

    1. It outperforms the index.
    2. It does so without increasing risk.
    3. It scales with respect to AUM.
    4. It is generic and works on any index.

The Results: outperforming the index

In our proof-of-concept, during six months of live trading operations (143 trading days, total of 2895 trades) on the EuroStoxx 50 Index with €1M AUM, the Quantifai Index Benchmark Solution out-performed the index by 3.848% (which equates to 7.696% per year). Live performance data from this period is shown in the charts below.

On the left-hand side, the chart shows the evolution of performance for both the Quantifai Index Benchmark Solution (in red) and the EuroStoxx 50 Index (in blue). On the right-hand side, the green chart shows the relative performance between the Quantifai Index Benchmark Solution and the EuroStoxx 50 Index.

The following chart shows a breakdown of when the Quantifai Index Benchmark Solution was above the EuroStoxx 50 Index (in blue), and when it was below (in red). The green chart shows the relative performance between the Quantifai Index Benchmark Solution and the EuroStoxx 50 Index - out performance of the Quantifai solution over the index (the positive diff).